Utility valuation of multi-name credit derivatives and application to CDOs

DOI10.1080/14697680902744737MaRDI QIDQ5190134zbMATH OpenOpenAlexFDO

Authors Ronnie Sircar, Thaleia Zariphopoulou

Publication date 12 March 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680902744737

zbMATH Keywords

applied mathematical financecontinuous time financecontrol of stochastic systemscredit riskdefault riskpricing of derivatives securitiespricing with utility based preferencesutility indifference

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• Utility valuation of credit derivatives: single and two-name cases
• Credit derivatives and risk aversion
• Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
• Recovering portfolio default intensities implied by CDO quotes
• The market model of CDO spreads

Cites work

• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Empirical copulas for CDO tranche pricing using relative entropy
• European Option Pricing with Transaction Costs
• Multiname and multiscale default modeling
• Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
• Rational hedging and valuation of integrated risks under constant absolute risk aversion.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Utility maximization in incomplete markets with random endowment

Cited in

(18)

• Accounting for risk aversion in derivatives purchase timing
• Default clustering in large portfolios: typical events
• A multidimensional exponential utility indifference pricing model with applications to counterparty risk
• Impact of risk aversion and belief heterogeneity on trading of defaultable claims
• Credit derivatives and risk aversion
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• From insurance risk to credit portfolio management: a new approach to pricing CDOs
• Systemic risk and default clustering for large financial systems
• Optimal investment with counterparty risk: a default-density model approach
• INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
• Bond indifference prices
• A risk-sharing framework of bilateral contracts
• Large portfolio asymptotics for loss from default
• Risk-sensitive asset management and cascading defaults
• Utility valuation of credit derivatives: single and two-name cases
• Indifference pricing of credit default swaps in a multi-period model
• An asymptotic expansion approach to the utility valuation of credit risk under the CEV model
• Utility indifference valuation of corporate bond with rating migration risk

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